基于MTS模型的政府融资平台风险预警实证研究

Research on Government Financing Platform Risk Early-warning Model Based on MTS

地方政府融资平台的信用风险是目前政府部门和金融系统面临的全新课题,如何正确度量、评估融资平台潜在金融风险、并建立合适的预警分析模型,是目前社会各界普遍关心和探讨的重要课题。本文简要介绍了政府融资平台的背景和风险特征,在此基础上采用合适的财务指标构建风险预警指标体系,运用MTS模型对风险预警客户和政府融资平台客户的样本数据进行定量分析、分类验证和实证研究,证明MTS模型和降维特征变量的有效性,最终得出融资平台风险预警的关键性财务指标,供政府及银行从业人员在实际工作中参考,并对今后的研究提出合理化建议。

The credit risk of local government financing platform is a new subject that government sector and financial system are facing. How to correctly measure and evaluate potential financial risks and establish a suitable financing platform early warning analysis model is the important topic that concerned and discussed by the current government departments and current academia. This paper briefly introduces the background and risk characteristics of the government financing platform and which is based on to adopt appropriate financial index to construct system of credit risk pre-warning indicator, using MTS model to carry out quantitative analysis, classification of validation and empirical study for the sample data of risk pre-warning customers and government financing platform customers, proving the validity of MTS model and dimensionality reduction property variables, getting the key financial indicators of financing platform pre-warning finally. The government and bank employees will refer it in the practical work and we will put forward the corresponding recommendations for the future research.